کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077335 1374126 2010 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On the robustness of longevity risk pricing
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
On the robustness of longevity risk pricing
چکیده انگلیسی

For longevity bond pricing, the most popular methods contain the risk-neutral method, the Wang transform and the Sharpe ratio rule. This paper studies robustness of these three methods and investigates connections and differences among them through theoretic analysis and numerical illustrations. We adopt the dynamic mortality models with jumps to capture the permanent effects caused by unexpected factors and allow the correlation between mortality and interest rate be nonzero. The analysis is based on four typical mortality models, including the mean-reverting models and the non mean-reverting ones. Our work may provide a guidance for participants on choice of pricing methods.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 47, Issue 3, December 2010, Pages 358-373
نویسندگان
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